Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: Hausman test


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Hausman test
Date   Mon, 22 Oct 2007 16:33:00 +0100

Rodolfo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodolfo Coelho Prates
> Sent: 22 October 2007 13:29
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman test
> 
> Dear Statalisters
> 
> I estimeted a panel model, and itīs used, pooled regression, 
> fixed efect and randon efect. After this, when the stata run 
> the hausman test, the result is negative. The message is that 
> the matrix is not positive definite. In this form, I donīt 
> know if the fixed efect is more efficient than randon efect. 
> How can I do?

Short answer: install -xtoverid- from SSC (from within Stata, -findit xtoverid- and follow the links.  It will give you a Hausman test stat after estimation with random effects that is guaranteed to be non-negative and can (unlike the standard Hausman test) be made robust to clustering and the like.

Longer (sort of) answer: this question comes up on Statalist fairly regularly.  Try googling on the keywords "statalist negative hausman" and browse through some of the Statalist postings, e.g., one of my contributions:

http://www.datasets.org/statalist/archive/2005-08/msg00762.html

Cheers,
Mark

> Best regards,
> 
> Rodolfo
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index